On the Log-Return Distribution of Index Benchmarked Share Prices

This paper identifies a distribution, which fits the daily log-returns of index benchmarked share prices. For this data the Student t distribution appears to provide the best fit under the maximum likelihood ratio test within the class of symmetric generalised hyperbolic distributions. A share market model that generates share prices with the observed log-return distribution is also described.

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Year of publication:	1999-12-01
Authors:	Platen, Eckhard
Institutions:	Finance Discipline Group, Business School
Subject:	log-return distribution \| Student t distribution \| generalised hyperbolic distribution \| minimal market model

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Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 22
Classification:	G10 - General Financial Markets. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984611